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https://hdl.handle.net/10419/32153
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Bien, Katarzyna | en |
dc.contributor.author | Nolte, Ingmar | en |
dc.contributor.author | Pohlmeier, Winfried | en |
dc.date.accessioned | 2007-04-26 | - |
dc.date.accessioned | 2010-05-14T12:00:30Z | - |
dc.date.available | 2010-05-14T12:00:30Z | - |
dc.date.issued | 2006 | - |
dc.identifier.pi | urn:nbn:de:bsz:352-opus-32361 | en |
dc.identifier.uri | http://hdl.handle.net/10419/32153 | - |
dc.description.abstract | In this paper we propose a model for the conditional multivariate density of integer count variables defined on the set Zn. Applying the concept of copula functions, we allow for a general form of dependence between the marginal processes which is able to pick up the complex nonlinear dynamics of multivariate financial time series at high frequencies. We use the model to estimate the conditional bivariate density of the high frequency changes of the EUR/GBP and the EUR/USD exchange rates. | en |
dc.language.iso | eng | en |
dc.publisher | |aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanz | en |
dc.relation.ispartofseries | |aCoFE Discussion Paper |x06/06 | en |
dc.subject.jel | G10 | en |
dc.subject.jel | F30 | en |
dc.subject.jel | C30 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Integer Count Hurdle | en |
dc.subject.keyword | Copula Functions | en |
dc.subject.keyword | Discrete Multivariate Distributions | en |
dc.subject.keyword | Foreign Exchange Market | en |
dc.subject.stw | Multivariate Analyse | en |
dc.subject.stw | Ökonometrisches Modell | en |
dc.subject.stw | Wechselkurs | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | Theorie | en |
dc.subject.stw | EU-Staaten | en |
dc.subject.stw | Großbritannien | en |
dc.subject.stw | USA | en |
dc.title | A Multivariate Integer Count Hurdle model: Theory and application to exchange rate dynamics | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 527906573 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:cofedp:0606 | - |
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